US2004236661A1PendingUtilityA1
Capital markets index and futures contract
Assignee: TRADE OF THE CITY OF CHICAGO BPriority: May 12, 2003Filed: May 12, 2003Published: Nov 25, 2004
Est. expiryMay 12, 2023(expired)· nominal 20-yr term from priority
Inventors:Joseph Benning
G06Q 40/08G06Q 40/04
39
PatentIndex Score
0
Cited by
0
References
0
Claims
Abstract
A capital markets index and related futures contracts are provided. The index of the present invention indexes marginal returns available on capital markets free of default risk. The index of the present invention uses chain-linked futures contracts both as measuring instruments and as building blocks. The futures contract of the present invention is based on the index of the present invention. Accordingly, both the index of the present invention and related futures contracts are transparent and accurate reflections of the baseline returns universe made up of dollar based fixed-income markets
Claims
exact text as granted — not AI-modifiedWhat is claimed is:
1 An index of returns on treasury instruments comprising:
a level of longer-term market interest rates;
a shape of a yield curve; and
a level of short-term financing rates.
2 The index of claim 1 further wherein the Treasury instruments have maturities of 5 years and longer.
3 The index of claim 1 further wherein the Treasury instruments are Treasury 5-year notes, Treasury 10-year notes, and bond contracts.
4 The index of claim 1 further wherein the Treasury instruments are assigned duration weights.
5 The index of claim 4 further wherein the duration weights are adjusted quarterly.
6 The index of claim 4 further wherein the duration weights are such that each index component makes an approximately equal contribution to index volatility.
7 The index of claim 1 further wherein the Treasury instruments are chain-linked to maintain consistency over time.
8 The index of claim 7 further wherein the chain-linked Treasury instruments are utilized as measuring instruments.
9 The index of claim 7 further wherein the chain-linked Treasury instruments are utilized as building blocks.
10 The index of claim 7 further wherein the index is chain linked quarterly.
11 The index of claim 1 further wherein Treasury instruments are strung together into a time-series by incorporating past information into the index.
12 The index of claim 1 further wherein calendar spreads are added to, and current front-month Treasury instruments are substituted for, expiring Treasury instruments.
13 The index of claim 1 further wherein:
IV t =( DWABP t )+ AC t ,
where IV is the index value at time t, DWABP is the duration-weighted average price at time t, and AC is accumulated net carry at time t.
14 The index of claim 13 further wherein DWABP is of nearby 5-year, 10-year and bond futures contracts.
15 The index of claim 13 further wherein AC is rebalanced quarterly.
16 The index of claim 1 further wherein deferred Treasury instrument months embed carry into the price structure.
17 The index of claim 16 further wherein price differences between current and deferred Treasury instruments are added in to the index.
18 The index of claim 17 further wherein price differences between current and deferred Treasury instruments are added in to the index quarterly.
19 The index of claim 16 further wherein duration price weighting allows yield curve shifts to show through.
20 The index of claim 16 further wherein risks and returns are incorporated on a weighted basis.
21 The index of claim 1 further being utilized as the basis of a futures contract.
22 A capital markets index comprising chain-linked futures contracts.
23 The index of claim 22 further wherein the futures contracts have maturities of 5 years and longer.
24 The index of claim 22 further wherein the futures contracts are Treasury 5-year notes, Treasury 10-year notes, and bond contracts.
25 The index of claim 22 further wherein the futures contracts are assigned duration weights.
26 The index of claim 25 further wherein the duration weights are adjusted quarterly.
27 The index of claim 25 further wherein the duration weights are such that each index component makes an approximately equal contribution to index volatility.
28 The index of claim 22 further wherein the chain-linked futures contracts are utilized as measuring instruments.
29 The index of claim 28 further wherein the chain-linked futures contracts are utilized as building blocks.
30 The index of claim 28 further wherein the index is chain linked quarterly.
31 The index of claim 22 further wherein:
IV t =( DWABP t )+ AC t ,
where IV is the index value at time t, DWABP is the duration-weighted average price at time t, and AC is accumulated net carry at time t.
32 The index of claim 31 further wherein DWABP is of nearby 5-year, 10-year and bond futures contracts.
33 The index of claim 31 further wherein AC is rebalanced quarterly.
34 The index of claim 22 further wherein deferred contract months embed carry into the price structure.
35 The index of claim 34 further wherein price differences between current and deferred contracts are added in to the index.
36 The index of claim 35 further wherein price differences between current and deferred contracts are added in to the index quarterly.
37 The index of claim 34 further wherein duration price weighting allows yield curve shifts to show through.
38 The index of claim 34 further wherein risks and returns are incorporated on a weighted basis.
39 The index of claim 22 further wherein calendar spreads are added to, and current front-month contracts are substituted for, expiring contracts.
40 The index of claim 22 further being utilized as the basis of a futures contract.
41 An index comprising chain-linked measurement cohorts into a continuous time series.
42 The index of claim 41 further wherein the measurement cohort is the duration weighted average daily price of futures contracts during a given time period.
43 The index of claim 42 further wherein the futures contracts have maturities of 5 years and longer.
44 The index of claim 42 further wherein the futures contracts are Treasury 5-year notes, Treasury 10-year notes, and bond contracts.
45 The index of claim 41 further wherein the chain-link is the market price of rolling from time t to time t+1 .
46 The index of claim 45 further wherein the chain-link is the market price of rolling from quarter t to quarter t+1 .
47 The index of claim 41 further wherein the futures contracts are assigned duration weights.
48 The index of claim 47 further wherein the duration weights are adjusted quarterly.
49 The index of claim 47 further wherein the duration weights are such that each index component makes an approximately equal contribution to index volatility.
50 The index of claim 41 further wherein the chain-linked measurement cohorts are utilized as building blocks.
51 The index of claim 41 further wherein the index is chain linked quarterly.
52 The index of claim 41 further wherein:
IV t =( DWABP t )+ AC t ,
where IV is the index value at time t, DWABP is the duration-weighted average price at time t, and AC is accumulated net carry at time t.
53 The index of claim 52 further wherein DWABP is of nearby 5-year, 10-year and bond futures contracts.
54 The index of claim 52 further wherein AC is rebalanced quarterly.
55 The index of claim 41 further wherein deferred contract months embed carry into the price structure.
56 The index of claim 55 further wherein price differences between current and deferred contracts are added in to the index.
57 The index of claim 56 further wherein price differences between current and deferred contracts are added in to the index quarterly.
58 The index of claim 55 further wherein duration price weighting allows yield curve shifts to show through.
59 The index of claim 55 further wherein risks and returns are incorporated on a weighted basis.
60 The index of claim 41 further wherein calendar spreads are added to, and current front-month contracts are substituted for, expiring contracts.
61 The index of claim 41 further being utilized as the basis of a futures contract.
62 An index of returns on Treasury instruments comprising a constant measuring instrument and forward pricing.
63 The index of claim 62 further wherein the constant measuring instruments are front-month Treasury instruments.
64 The index of claim 62 further wherein the forward pricing is the quarterly Treasury instrument rolls.
65 The index of claim 62 further wherein the Treasury instruments have maturities of 5 years and longer.
66 The index of claim 62 further wherein the Treasury instruments are Treasury 5-year notes, Treasury 10-year notes, and bond contracts.
67 The index of claim 62 further wherein the Treasury instruments are assigned duration weights.
68 The index of claim 67 further wherein the duration weights are quarterly.
69 The index of claim 67 further wherein the duration weights are such that each index component makes an approximately equal contribution to index volatility.
70 The index of claim 62 further wherein the Treasury instruments are chain-linked to maintain consistency over time.
71 The index of claim 70 further wherein the chain-linked Treasury instruments are utilized as measuring instruments.
72 The index of claim 70 further wherein the chain-linked Treasury instruments are utilized as building blocks.
73 The index of claim 70 further wherein the index is chain linked quarterly.
74 The index of claim 62 further wherein Treasury instruments are strung together into a time-series by incorporating past information into the index.
75 The index of claim 62 further wherein calendar spreads are added to, and current front-month Treasury instruments are substituted for, expiring Treasury instruments.
76 The index of claim 62 further wherein:
IV t =( DWABP t )+ AC t ,
where IV is the index value at time t, DWABP is the duration-weighted average price at time t, and AC is accumulated net carry at time t.
77 The index of claim 76 further wherein DWABP is of nearby 5-year, 10-year and bond futures contracts.
78 The index of claim 76 further wherein AC is rebalanced quarterly.
79 The index of claim 62 further wherein deferred Treasury instrument months embed carry into the price structure.
80 The index of claim 79 further wherein price differences between current and deferred Treasury instruments are added in to the index.
81 The index of claim 80 further wherein price differences between current and deferred Treasury instruments are added in to the index quarterly.
82 The index of claim 79 further wherein duration price weighting allows yield curve shifts to show through.
83 The index of claim 79 further wherein risks and returns are incorporated on a weighted basis.
84 The index of claim 62 further being utilized as the basis of a futures contract.
85 An index comprising:
prices of futures contracts weighted by duration;
calendar spreads of futures contracts; and
accumulated calendar spreads from the index inception date.
86 The index of claim 85 further wherein duration weights are adjusted.
87 The index of claim 86 further wherein duration weights are adjusted quarterly.
88 The index of claim 85 further wherein calendar spreads are added to, and current front-month contracts are substituted for, expiring contracts.
89 The index of claim 85 further wherein duration weights are such that each index component makes an approximately equal contribution to index volatility for parallel rate shifts.
90 The index of claim 85 further wherein deferred contract months embed carry into the price structure.
91 The index of claim 85 further wherein price differences between current and deferred contracts are added in to the index.
92 The index of claim 91 further wherein price differences between current and deferred contracts are added in to the index quarterly.
93 The index of claim 85 further wherein the futures contracts have maturities of 5 years and longer.
94 The index of claim 85 further wherein the futures contracts are Treasury 5-years notes, Treasury 10-year notes, and bond contracts.
95 The index of claim 85 further wherein the futures contracts are chain-linked to maintain consistency over time.
96 The index of claim 95 further wherein the chain-linked futures contracts are utilized as measuring instruments.
97 The index of claim 95 further wherein the chain-linked futures contracts are utilized as building blocks.
98 The index of claim 95 further wherein the index is chain linked quarterly.
99 The index of claim 85 further wherein futures contracts are strung together into a time-series by incorporating past information into the index.
100 The index of claim 85 further wherein:
IV t =( DWABP t )+ AC t ,
where IV is the index value at time t, DWABP is the duration-weighted average price at time t, and AC is accumulated net carry at time t.
101 The index of claim 100 further wherein DWABP is of nearby 5-year, 10-year and bond futures contracts.
102 The index of claim 100 further wherein AC is rebalanced quarterly.
103 The index of claim 85 further wherein deferred contract months embed carry into the price structure.
104 The index of claim 103 further wherein price differences between current and deferred contracts are added in to the index.
105 The index of claim 104 further wherein price differences between current and deferred contracts are added in to the index quarterly.
106 The index of claim 103 further wherein duration price weighting allows yield curve shifts to show through.
107 The index of claim 103 further wherein risks and returns are incorporated on a weighted basis.
108 The index of claim 85 further being utilized as the basis of a futures contract.
109 . An index comprising:
marginal capital market returns available from investing in a representative collection of longer-duration Treasury instruments and risks and returns that reside at key pivot points along the capital market yield curve.
110 The index of claim 109 further wherein risks and returns are incorporated on a weighted basis.
111 The index of claim 109 further wherein index cohorts are linked by the market price of rolling forward.
112 The index of claim 111 further wherein rolling Treasury instruments forward involves selling the nearby position and acquiring a position in the next Treasury instrument expiration.
113 The index of claim 109 further including duration weights.
114 The index of claim 113 further wherein duration weights are adjusted.
115 The index of claim 114 further wherein duration weights are adjusted quarterly.
116 The index of claim 109 further wherein the Treasury instruments are chain-linked to maintain consistency over time.
117 The index of claim 116 further wherein the chain-linked Treasury instruments are utilized as measuring instruments.
118 The index of claim 116 further wherein the chain-linked Treasury instruments are utilized as building blocks.
119 The index of claim 116 further wherein the index is chain linked quarterly.
120 The index of claim 109 further wherein observations are strung together into a time-series by incorporating past information into the index.
121 The index of claim 109 further wherein the Treasury instruments have maturities of 5 years and longer.
122 The index of claim 109 further wherein the Treasury instruments comprise Treasury 5-year notes, Treasury 10-year notes, and bond contracts.
123 The index of claim 109 further wherein calendar spreads are added to, and current front-month Treasury instruments are substituted for, expiring Treasury instruments.
124 The index of claim 109 further wherein:
IV t =( DWABP t )+ AC t ,
where IV is the index value at time t, DWABP is the duration-weighted average price at time t, and AC is accumulated net carry at time t.
125 The index of claim 124 further wherein DWABP is of nearby 5-year, 10-year and bond futures contracts.
126 The index of claim 124 further wherein AC is rebalanced quarterly.
127 The index of claim 109 further wherein deferred Treasury instrument months embed carry into the price structure.
128 The index of claim 127 further wherein price differences between current and deferred Treasury instruments are added in to the index.
129 The index of claim 128 further wherein price differences between current and deferred Treasury instruments are added in to the index quarterly.
130 The index of claim 127 further wherein duration price weighting allows yield curve shifts to show through.
131 The index of claim 127 further wherein risks and returns are incorporated on a weighted basis.
132 The index of claim 109 further being utilized as the basis of a futures contract.
133 A futures contract comprising:
a level of longer-term Treasury instrument market interest rates;
a shape of a yield curve of Treasury instruments; and
a level of short-term Treasury instrument financing rates.
134 The futures contract of claim 133 further wherein the Treasury instruments have maturities of 5 years and longer.
135 The futures contract of claim 133 further wherein the Treasury instruments are Treasury 5-year notes, Treasury 10-year notes, and bond contracts.
136 The futures contract of claim 133 further wherein the Treasury instruments are assigned duration weights.
137 The futures contract of claim 136 further wherein the duration weights are adjusted.
138 The futures contract of claim 137 further wherein the duration weights are adjusted quarterly.
139 The futures contract of claim 136 further wherein the duration weights are such that each component makes an approximately equal contribution to volatility.
140 The futures contract of claim 133 further wherein the Treasury instruments are chain-linked to maintain consistency over time.
141 The futures contract of claim 140 further wherein the chain-linked Treasury instruments are utilized as measuring instruments.
142 The futures contract of claim 140 further wherein the chain-linked Treasury instruments are utilized as building blocks.
143 The futures contract of claim 140 further wherein the Treasury instruments are chain linked quarterly.
144 The futures contract of claim 133 further wherein Treasury instruments are strung together into a time-series by incorporating past information.
145 The futures contract of claim 133 further wherein calendar spreads are added to, and current front-month Treasury instruments are substituted for, expiring Treasury instruments.
146 The futures contract of claim 133 further wherein the futures contract is cash settled.
147 A futures contract comprising chain-linked capital markets futures contracts.
148 The futures contract of claim 147 further wherein the capital markets futures contracts have maturities of 5 years and longer.
149 The futures contract of claim 147 further wherein the capital markets futures contracts are Treasury 5-year notes, Treasury 10-year notes, and bond contracts.
150 The futures contract of claim 147 further wherein the capital markets futures contracts are assigned duration weights.
151 The futures contract of claim 150 further wherein the duration weights are adjusted.
152 The futures contract of claim 151 further wherein the duration weights are adjusted quarterly.
153 The futures contract of claim 151 further wherein the duration weights are such that each component makes an approximately equal contribution to volatility.
154 The futures contract of claim 147 further wherein the chain-linked capital markets futures contracts are utilized as measuring instruments.
155 The futures contract of claim 154 further wherein the chain-linked capital markets futures contracts are utilized as building blocks.
156 The futures contract of claim 154 further wherein the chain-linked capital markets are chain linked quarterly.
157 The futures contract of claim 147 further wherein deferred contract months embed carry into the price structure.
158 The futures contract of claim 157 further wherein duration price weighting allows yield curve shifts to show through.
159 The futures contract of claim 157 further wherein risks and returns are incorporated on a weighted basis.
160 The futures contract of claim 147 further wherein calendar spreads are added to, and current front-month contracts are substituted for, expiring capital markets futures contracts.
161 The futures contract of claim 147 further wherein the futures contract is cash settled.
162 A futures contract comprising a constant measuring instrument of returns on Treasury instruments and forward pricing of Treasury instruments.
163 The futures contract of claim 162 further wherein the constant measuring instruments are front-month Treasury instruments.
164 The futures contract of claim 162 further wherein the forward pricing is the quarterly Treasury instruments rolls.
165 The futures contract of claim 162 further wherein the Treasury instruments have maturities of 5 years and longer.
166 The futures contract of claim 162 further wherein the Treasury instruments are Treasury 5-year notes, Treasury 10-year notes, and bond contracts.
167 The futures contract of claim 162 further wherein the Treasury instruments are assigned duration weights.
168 The futures contract of claim 167 further wherein the duration weights are adjusted.
169 The futures contract of claim 168 further wherein the duration weights are adjusted quarterly.
170 The futures contract of claim 167 further wherein the duration weights are such that each component makes an approximately equal contribution to volatility.
171 The futures contract of claim 162 further wherein the Treasury instruments are chain-linked to maintain consistency over time.
172 The futures contract of claim 171 further wherein the chain-linked Treasury instruments are utilized as measuring instruments.
173 The futures contract of claim 171 further wherein the chain-linked Treasury instruments are utilized as building blocks.
174 The futures contract of claim 171 further wherein the chain-linked Treasury instruments are chain linked quarterly.
175 The futures contract of claim 162 further wherein Treasury instruments are strung together into a time-series by incorporating past information.
176 The futures contract of claim 162 further wherein calendar spreads are added to, and current front-month Treasury instruments are substituted for, expiring Treasury instruments.
177 The futures contract of claim 162 further wherein the futures contract is cash settled.
178 An futures contract comprising:
prices of capital markets futures contracts weighted by duration;
calendar spreads of capital markets futures contracts; and
accumulated calendar spreads from the futures contract inception date.
179 The futures contract of claim 178 further wherein duration weights are adjusted.
180 The futures contract of claim 179 further wherein duration weights are adjusted quarterly.
181 The futures contract of claim 178 further wherein calendar spreads are added to, and current front-month capital markets futures contracts are substituted for, expiring capital markets futures contracts.
182 The futures contract of claim 178 further wherein duration weights are such that each component makes an approximately equal contribution to volatility for parallel rate shifts.
183 The futures contract of claim 178 further wherein deferred capital markets futures contracts months embed carry into the price structure.
184 The futures contract of claim 178 further wherein the capital markets futures contracts have maturities of 5 years and longer.
185 The futures contract of claim 178 further wherein the capital markets futures contracts are Treasury 5-year notes, Treasury 10-year notes, and bond contracts.
186 The futures contract of claim 178 further wherein the capital markets futures contracts are chain-linked to maintain consistency over time.
187 The futures contract of claim 186 further wherein the chain-linked capital markets futures contracts are utilized as measuring instruments.
188 The futures contract of claim 186 further wherein the chain-linked capital markets futures contracts are utilized as building blocks.
189 The futures contract of claim 186 further wherein the capital markets futures contracts are chain linked quarterly.
190 The futures contract of claim 178 further wherein capital markets futures contracts are strung together into a time-series by incorporating past information into the index.
191 The futures contract of claim 178 further wherein the futures contract is cash settled.
192 An futures contract comprising:
marginal capital market returns available from investing in a representative collection of longer-duration Treasury instruments; and
and returns that reside at key pivot points along the capital market yield curve.
193 The futures contract of claim 192 further wherein risks and returns are incorporated on a weighted basis.
194 The futures contract of claim 192 further wherein cohorts are linked by the market price of rolling forward.
195 The futures contract of claim 194 further wherein rolling Treasury instruments forward involves selling the nearby position and acquiring a position in the next Treasury instruments expiration.
196 The futures contract of claim 192 further including duration weights.
197 The futures contract of claim 196 further wherein duration weights are adjusted.
198 The futures contract of claim 197 further wherein duration weights are adjusted quarterly.
199 The futures contract of claim 192 further wherein the Treasury instruments are chain-linked to maintain consistency over time.
200 The futures contract of claim 199 further wherein the chain-linked Treasury instruments are utilized as measuring instruments.
201 The futures contract of claim 199 further wherein the chain-linked Treasury instruments are utilized as building blocks.
202 The futures contract of claim 199 further wherein the Treasury instruments are chain linked quarterly.
203 The futures contract of claim 192 further wherein observations are strung together into a time-series by incorporating past information.
204 The futures contract of claim 192 further wherein the Treasury instruments have maturities of 5 years and longer.
205 The futures contract of claim 192 further wherein the Treasury instruments comprise Treasury 5-year notes, Treasury 10-year notes, and bond contracts.
206 The futures contract of claim 192 further wherein calendar spreads are added to, and current front-month Treasury instruments are substituted for, expiring Treasury instruments.
207 The futures contract of claim 192 further wherein the futures contract is cash settled.Join the waitlist — get patent alerts
Track US2004236661A1 — get alerts on status changes and closely related new filings.
We store only your email — no account needed. See our privacy policy.